On stochastic integration for volatility modulated Brownian-driven Volterra processes via white noise analysis
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Publication:5170127
DOI10.1142/S0219025714500118zbMath1291.60109arXiv1303.4625OpenAlexW1974495175MaRDI QIDQ5170127
Benedykt Szozda, Fred Espen Benth, Ole Eiler Barndorff-Nielsen
Publication date: 18 July 2014
Published in: Infinite Dimensional Analysis, Quantum Probability and Related Topics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1303.4625
white noise analysisstochastic integralMalliavin derivativeSkorohod integralVolterra processvolatility modulation
Fractional processes, including fractional Brownian motion (60G22) White noise theory (60H40) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07)
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